Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 3 3
Score 3.01 1.13 1.8
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.59 0.59 0.58
Idiosyncratic Volatility 0.42 0.37 0.55

Annualized return and volatility

GSELX
Annualized Return 0.0553
Annualized Std Dev 0.1877
Annualized Sharpe (Rf=0%) 0.2946

Row

Daily Return Statistics

GSELX
Observations 5111.0000
NAs 2.0000
Minimum -0.0915
Quartile 1 -0.0046
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1188
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0118
Skewness -0.0344
Kurtosis 8.7837

Downside Risk

GSELX
Semi Deviation 0.0085
Gain Deviation 0.0085
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.5630
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0284
Modified VaR (95%) -0.0172
Modified ES (95%) -0.0250
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2013-01-23 -0.5630 1416 426 990
2000-09-05 2002-10-09 2006-01-11 -0.4711 1369 534 835
2018-08-30 2018-12-24 2019-10-29 -0.2145 298 82 216
2015-05-22 2016-02-11 2016-07-12 -0.1627 291 186 105
2000-03-27 2000-04-14 2000-08-23 -0.1109 107 16 91

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec GSELX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.2 0.7 0.0 1.3 2.2 0.0 0.4 0.2 0.0 -0.7 0.0 0.0 5.5
2001 0.3 0.0 0.0 1.4 0.4 0.0 0.2 0.0 -0.2 2.1 0.0 0.0 4.2
2002 -0.6 2.1 0.0 1.0 0.0 -2.3 -3.0 0.0 3.8 1.5 0.0 0.0 2.3
2003 0.0 0.0 1.2 0.0 0.0 0.8 -1.0 0.0 2.1 0.0 1.2 0.0 4.5
2004 0.0 1.2 0.4 0.0 0.2 -0.8 0.0 0.2 2.3 0.0 1.5 0.0 5.0
2005 0.5 0.6 -0.2 0.0 0.8 0.4 0.0 0.3 0.0 0.0 1.2 0.0 3.6
2006 0.2 1.1 0.0 -0.4 1.2 0.0 -0.5 0.6 0.0 -0.6 -0.1 0.0 1.5
2007 0.5 -0.4 0.0 0.2 0.4 0.0 0.5 0.0 1.3 -2.6 0.0 0.0 -0.1
2008 1.0 0.0 3.4 1.4 0.0 0.6 -0.9 0.0 -0.6 0.0 -8.8 0.0 -4.4
2009 0.0 0.0 1.2 0.9 2.7 0.7 0.0 -2.3 -2.6 0.0 1.4 0.0 1.8
2010 1.6 1.1 0.6 0.0 -1.8 -0.3 0.0 3.0 0.5 0.2 2.2 0.0 7.3
2011 1.9 -1.4 0.4 0.0 -2.1 1.4 -0.5 -1.0 0.0 -2.6 -0.1 0.0 -4.0
2012 1.1 0.7 0.0 0.6 -2.5 0.0 -0.4 0.0 0.4 1.1 0.0 0.0 1.0
2013 0.8 0.3 -0.3 -1.2 0.0 0.6 1.4 0.0 0.9 0.3 0.0 0.0 2.9
2014 0.0 0.0 0.9 0.1 0.0 0.8 -0.3 0.0 -1.4 0.0 -0.7 0.0 -0.6
2015 0.0 0.0 -0.5 1.3 0.2 0.8 0.0 -3.0 0.6 0.0 1.1 0.0 0.5
2016 0.3 2.5 0.7 0.0 0.1 0.3 -0.2 0.0 0.0 -0.6 -0.3 0.0 2.8
2017 0.2 1.4 0.0 0.3 1.0 0.0 0.2 0.3 0.0 0.2 -0.3 0.0 3.3
2018 -0.1 -1.0 0.0 0.4 1.2 0.0 0.1 0.0 0.3 1.2 0.0 0.0 2.0
2019 -0.1 0.8 1.3 -0.6 0.0 0.7 -0.9 0.0 -1.2 1.0 0.0 0.1 1.1

Row

Rolling Performance Chart

Snail Trail Chart